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| Àâòîðèçàöèÿ |
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| Ïîèñê ïî óêàçàòåëÿì |
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| Alexander C. — Market Models: A Guide to Financial Data Analysis |
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| Ïðåäìåòíûé óêàçàòåëü |
Risk measurement, factor models 229—248
Risk measurement, index stripping 238—239
Risk measurement, present value of a basis point move (PVBP) 256
Risk measurement, risk managers/asset managers 236—237
Risk measurement, time-varying parameter assumptions 238
Risk measurement, traditional measures 256—257
Risk, attitudes, modelling 194—198
Risk, certainty equivalence 194 195
Risk, correlation risk 138
Risk, decomposing risk 230—236
Risk, downside risk 258—259
Risk, financial markets 250—255
Risk, indifference 194 197—198
Risk, irreducible risk 9—10
Risk, market risk capital requirement (MRR) 251 252 253 254—255 274 276 279 280
Risk, return, relationship 189—193
Risk, risk premium 104 106
Risk, risk-free rate of return 21 23 104
Risk, risk-loving 195 198
Risk, sources of risk 232 256
Risk, transitive preferences 194
Risk, utility functions 194—196
Risk-adjusted performance measures (RAPM), capital allocation 193—194
Risk-adjusted performance measures (RAPM), information ratio (IR) 194
Risk-adjusted performance measures (RAPM), Sharpe ratio (SR) 194
Risk-adjusted returns, capital allocation 186 187
Risk-adjusted returns, traders, performance 186
Risk-free assets, minimum variance portfolios 192
Risk-free assets, risk/return 198
Risk-free assets, zero variance 231
Risk-neutrality, assumption 106
Risk-neutrality, certainty equivalence 195
Risk-neutrality, hypothesis 32
Risk-neutrality, local 81 106
Risk-neutrality, probability 81 106
Risk-neutrality, valuation 104 106
RiskMetrics data, covariance matrices 201—204
RiskMetrics data, covariance VaR models 260
RiskMetrics data, exponentially weighted moving average (EWMA) 60 115 163 179 202 203
RiskMetrics data, ghost features 204
RiskMetrics data, limitations 202—203
RiskMetrics data, methodology 179—180 201
RiskMetrics data, persistence 76 202
RiskMetrics data, reaction 202
RiskMetrics data, risk factors 202
RiskMetrics data, smoothing constant 202 203 204
RiskMetrics data, VaR (value-at-risk) models 102 203—204
RiskMetrics data, weighted average 179 201
Root mean square error (RMSE), distance metric 123
Root mean square error (RMSE), prediction 445
Root mean square error (RMSE), volatility forecasts 122—123
Rounding error, positive semi-definiteness 184
Russian debt crisis 35 251
S&P 500 86 89 129 155 202 231 234 371 403
S-Plus 84
Sampling error, constant volatility 52
Sampling error, exponentially weighted moving average (EWMA) 111
Sampling error, high frequency data 17
Sampling error, historic correlation 51
Sampling error, moving averages 63
Sampling error, ordinary least squares (OLS) 236
Sampling error, unconditional correlation 15 17
Sampling error, weighted average 49
Scatter plots 5 8 15 39 40
Scenario analysis, implied volatility 38—43 185
Scenario analysis, long-term volatility 92
Scenario analysis, market risk capital requirements (MRR) 253 279
Scenario analysis, principal component analysis (PCA) 39 143 144 154—155 282
Scenario analysis, probabilistic 280—281
Scenario analysis, risk management 34 38—43 141
Scenario analysis, skews 39 159
Scenario analysis, smile effect 39
Scenario analysis, VaR (value-at-risk) models 278—281
Scenario analysis, volatility term structures 92
Scenario analysis, yield curves 143
Schmidt — Phillips test 328
Sharpe ratio (SR) 194
Short sales, frontier analysis 186 191 198
Simulation, delta 105
Simulation, gamma 105
Simulation, historical simulation 267 268—270
Simulation, random numbers 105
Simulation, VaR (value-at-risk) models 267—274
Single outliers, alpha 96
Single outliers, beta 96
Single outliers, excess kurtosis 67
Skews, deviations 160—161
Skews, equity markets 155
Skews, implied volatility 1 30—31 32 33 68 155 158
Skews, jumpy markets 37—38 156
Skews, leverage effect 31 68
Skews, modelling 154—171
Skews, negative 30—31
Skews, parallel shifts 45
Skews, principal component analysis (PCA) 154—171
Skews, range-bounded markets 36 44 156
Skews, scenario analysis 39 159
Skews, trending markets 37 156
Skews, volatility clustering 66 67
Smile effect, implied volatility 1 30 32 33 98 155
Smile effect, modelling 154—171
Smile effect, option pricing 106—107 136
Smile effect, oversimplistic models 22
Smile effect, principal component analysis (PCA) 154—171
Smile effect, scenarios 39
Smile effect, smile fitting 106—107
Smile effect, volatility smile surface 33 81 106 107 143
Smoothing constant 115 117 163 202 203 204 217
Spot prices, cointegration 367
Spot prices, crude oil 55 60 78 111
Spot prices, hedging 27
Spot-future correlations, commodity markets 55
Spot-future correlations, Gulf War 55—56
Spread options 367
Square root of time rule, constant volatility 61
Square root of time rule, high frequency data 83
Square root of time rule, short-term horizons 97
Square root of time rule, volatility clustering 97
Squared returns, ARCH 83
Squared returns, autocorrelation 63 65—66 68 97
Squared returns, exponentially weighted moving average (EWMA) 57—58 207
Squared returns, regression 123 124
Squared returns, variance forecasts 123 124
Standard deviation, dispersion 4
Standard deviation, volatility forecasts 121
Standard error, hedging 139 140
Standard error, multicollinearity 172
Standard error, realized volatility 133
Standard error, regression 372
Standard error, variance estimators 127
Standard error, volatility estimators 127
Standard error, volatility forecasts 118—119 126
Standard Industrial Classification 233
Stationary processes, covariance stationarity 317—320
Stationary processes, jointly covariance stationary 14—15 341—344
Stationary processes, strict stationarity 317—320
Statistical factor models 235—236
Statistical inference, analysis of variance (ANOVA) 427—428
Statistical inference, confidence intervals 421—424
Statistical inference, f-tests 426—427
Statistical inference, hypothesis testing 421—424
Statistical inference, Lagrange multiplier (LM) 428
Statistical inference, likelihood ratio (LR) 428—429
Statistical inference, t-tests 424—426
Statistical inference, Wald test 428
Statistical volatility, confidence limits 29
Statistical volatility, exponentially weighted moving average (EWMA) 125
Statistical volatility, implied volatility distinguished 28—30
Statistical volatility, option pricing 29
Statistical volatility, volatility forecasts 118
| Sticky models, delta 35 37
Sticky models, equity skew 45
Sticky models, fixed strike/ATM volatility 38
Sticky models, market regimes 36—38 44
Sticky models, strikes 35 36
Sticky models, trees 35 43
Sticky models, validation 156
Stochastic processes, asset return series 12
Stochastic processes, financial asset prices 1 3
Stochastic processes, GARCH models 98 105
Stochastic processes, option pricing 105
Stochastic processes, process volatility 11 22
Stochastic processes, random walk 351
Stochastic processes, stationary 12 317—320
Stochastic processes, trends 328
Stochastic volatility, diffusion limits 98
Stochastic volatility, financial asset returns 285
Stochastic volatility, large price changes 30
Stochastic volatility, option pricing 104 105
Stochastic volatility, perfect hedge 106
Stochastic volatility, risk-neutral probability 81
Straddles 118 124—125 386
Straights Times 89 90
Stress testing, covariance matrices 184—185
Stress testing, linear portfolios 185
Stress testing, risk management 141
Stress testing, VaR (value-at-risk) models 278 281—283
Strikes, discounted value 23 24
Strikes, fixed strike deviations 158 160 161
Strikes, fixed strike volatility 38 157 158 159—167
Strikes, implied volatility 26 27 28 30 31 32—33 155
Strikes, local volatility 34—35
Strikes, sticky strike model 35 36
Student t distributions 82 293
Symmetric GARCH 72—75 81—82 95 99 123
Systems of seemingly unrelated regression equations (SURE) 434—435
t-GARCH, Student t distributions 82
Term structures, cointegration 368
Term structures, futures prices 153—151
Term structures, kurtosis 303—305
Term structures, principal component analysis (PCA) 143 147—154
Threshold GARCH 81
Time series models, ARMA see "Autoregressive moving average"
Time series models, autocorrelation 335—337
Time series models, autoregression 329—331
Time series models, basic properties 316—329
Time series models, correlogams 333—335
Time series models, detrending financial data 322—324
Time series models, Dickey — Fuller (DF) test 325—328
Time series models, integrated processes 320—322
Time series models, mean-reverting 317—320
Time series models, model identification 333—339
Time series models, moving averages 331—332
Time series models, multivariate see "Multivariate time series"
Time series models, operators 316—317
Time series models, random walk 320—322
Time series models, RATS (Regression Analysis of Time Series) 80
Time series models, stationary processes 317—320
Time series models, statistical modelling 315—346
Time series models, testing down 337—338
Time series models, unit root test 324—327
Time series models, univariate 329—333
Time-varying correlation, bivariate GARCH 16
Time-varying correlation, conditional see "Conditional correlation"
Time-varying correlation, correlation estimates 15 107
Time-varying correlation, GARCH models 16—17 108—114
Time-varying correlation, market betas 109 238
Time-varying correlation, optimal weights 112
Time-varying correlation, statistical hedge ratios 109
Time-varying variance 13 70 95
Time-varying volatility, actual/expected values 13
Time-varying volatility, conditional volatility 12 14
Time-varying volatility, GARCH models 14 95 115
Time-varying volatility, high frequency returns 17
Tracking models, benchmark tracking 144 172
Tracking models, cointegration 372
Tracking models, factor models 229
Tracking models, index tracking 172
Trading limits, risk aversion 186
Trading limits, short sales 186
Trading limits, VaR (value-at-risk) models 257
Trading performance, measurement 124
Trading strategy, implied volatility 125
Trading strategy, P&L 124 125
Transaction costs, long-term positions 29
Treasury bills 231
Trending markets, market regimes 36 37 44 156
TSP 84
Uncertainty, Black — Scholes model 23
Uncertainty, consequences 134—140
Uncertainty, correlation forecasts 137—138
Uncertainty, dynamically hedged portfolios 138—140
Uncertainty, marked-to-model value 136—138
Uncertainty, mixture of normal densities 136
Uncertainty, volatility 18 119
Unconditional correlation 15 17 49
Unconditional correlation matrices, principal component analysis (PCA) 147
Unconditional covariance, diagonal matrix 144 146 206
Unconditional covariance, principal component analysis (PCA) 162 206
Unconditional distribution, return process 12
Unconditional heteroscedasticity 432—433
Unconditional variance and volatility, I-GARCH 76
Unconditional variance and volatility, stationary series 12 317—320
Unconditional variance and volatility, weighted average 49—50
Underlying asset prices, ATM volatility 39
Underlying asset prices, constant volatility 22
Underlying asset prices, covariance 183
Underlying asset prices, geometric Brownian motion (GBM) 30
Underlying asset prices, implied volatility 11 26 183
Underlying asset prices, option hedging 10
Underlying asset prices, scenario analysis 185
Underlying asset prices, stochastic volatility 105
Underlying asset prices, volatility term structures 18
Unit root test 324—327 444
United States, alpha 91
United States, beta 91
United States, Dow Jones 30 231
United States, Microsoft 91—92
United States, Monopolies Commission 92
United States, persistence 86 91
United States, reaction 91
United States, S&P 500 86 89 129 155 202 231 234 371 403
United States, technology bubble 91
United States, USD 16 17 101—102 129—133
United States, zero-coupon bonds 148
Univariate GARCH see "GARCH models"
Univariate time series models 329—333
Utility functions, expected utility 194—195
Utility functions, exponential utility function 196—197
Utility functions, investment analysis 185 194—197
Utility functions, logarithmic 196
Utility functions, marginal utility 195 197
Utility functions, mean-variance analysis 197
Utility functions, power utility function 196
Utility functions, quadratic 196
Utility functions, risk 194—196
Utility functions, risk aversion 195—196
Value, MtM see "Marked-to-market (MtM) value"
VaR (value-at-risk) models, advantages/limitations 255—260
VaR (value-at-risk) models, alternatives 257—260
VaR (value-at-risk) models, backtesting 125 250 275—277
VaR (value-at-risk) models, conditional 259—260
VaR (value-at-risk) models, delta-gamma approximations 273—274
VaR (value-at-risk) models, extreme returns 185
VaR (value-at-risk) models, generalized extreme value (GEV) 293
VaR (value-at-risk) models, historical simulation 267 268—270
VaR (value-at-risk) models, marked-to-market (MtM) value 135
VaR (value-at-risk) models, market risk capital requirement (MRR) 253 254—255 274 276
VaR (value-at-risk) models, model validation 274—278
VaR (value-at-risk) models, Monte Carlo simulation 267 270—273 274 277—278
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